Compara mètodes

	VAR augmentat per factors amb paràmetres que varien en el temps	Projeccions Locals
Camp	Econometria	Econometria
Família	Regression model	Regression model
Any d'origen	2005	2005
Autor original	Bernanke, Boivin, and Eliasz	Oscar Jorda
Tipus	Time-varying system	Multi-horizon regression
Font seminal	Bernanke, B. S., Boivin, J., & Eliasz, P. S. (2005). Measuring monetary policy. Journal of Political Economy, 113(1), 161-208.	Jorda, O. (2005). Estimation and inference of impulse responses by local projections. American Economic Review, 95(1), 161-182.
Àlies	Dynamic factor model with time-varying parameters	LP-IR, Multi-horizon regression
Relacionats	3	3
Resum	TVP-FAVAR is a hybrid framework combining factor-augmented VARs with time-varying parameter estimation via Kalman filtering. Introduced by Bernanke et al. (2005) and refined by Primiceri (2005), it extracts latent economic factors (e.g., a 'common monetary policy shock') from high-dimensional data while allowing VAR coefficients to evolve stochastically over time. This framework captures both reduced-dimensionality patterns and structural instability, making it ideal for studying evolving policy regimes and shock dynamics.	Local Projections (LP) is a semi-parametric method for estimating impulse responses directly via multi-horizon regressions, bypassing VAR-model specification. Introduced by Jorda (2005), it projects outcomes h periods ahead onto current shocks and lags, producing impulse-response functions without assuming a particular lag structure or VAR order. This flexibility has made it the dominant approach in applied macroeconomics for measuring policy effects and shock transmission.